There are two reasons why a criticism might hurt ones feelings:
1-The criticism is not justified.
It is completely untrue. Not only is this hurtful to ones feelings, but it also raises suspicions in the hurt, unjustly-accused person as to just WHY the accuser is behaving in this manner. Is the accuser up to something, and behaving according to that old saying, "The best defense is a good offense"?
2-The criticism is justified.
This is hurtful, even though it is true, because one does not like to have ones faults pointed out. One does not like to feel that one is lacking in good qualities. It's difficult to be honest with oneself, to take a good, hard look in the mirror and clearly see a bad thing--a thing that needs to be radically changed.
So it's up to you to be really honest with yourself, and to figure out what is really going on. Is your guy playing you, or are you really and truly overly-vigilant? (I wouldn't call this "nagging," actually; I might call it something else. It's either hyper-vigilance, or it's "having control issues," or it's jealousy. "Nagging" is repeatedly and needlessly reminding someone to do something that one has agreed to do.)
Anyway....once you've spent some time being ruthlessly honest with yourself, you will more-clearly see what your problem is: Is the problem YOU, or is it HIM? Either way, it's not gonna be pretty, and it's not gonna feel good; but you will be on your way to resolving the problem, one way or another.
Good luck!